\select@language {french}
\contentsline {chapter}{\numberline {1}Introduction}{5}
\contentsline {chapter}{\numberline {2}Analyse financi\IeC {\`e}re}{7}
\contentsline {section}{\numberline {2.1}Description du produit}{7}
\contentsline {subsection}{\numberline {2.1.1}Indices sous-jacents}{8}
\contentsline {subsubsection}{Panier "Classique"}{8}
\contentsline {subsubsection}{Panier "Croissance"}{10}
\contentsline {subsubsection}{Panier "Global"}{12}
\contentsline {subsection}{\numberline {2.1.2}Garantie}{14}
\contentsline {subsubsection}{D\IeC {\'e}finitions}{14}
\contentsline {subsubsection}{Garantie du contrat}{15}
\contentsline {subsection}{\numberline {2.1.3}Analyse des flux}{16}
\contentsline {subsubsection}{Cas o\IeC {\`u} l'acheteur ne se retire pas du fonds avant maturit\IeC {\'e}}{16}
\contentsline {subsubsection}{Cas o\IeC {\`u} l'acheteur se retire du fonds avant maturit\IeC {\'e}}{16}
\contentsline {section}{\numberline {2.2}Examen des risques}{16}
\contentsline {subsection}{\numberline {2.2.1}Risques d\IeC {\'e}coulant de la classification de l\IeC {\textquoteright }OPCVM}{16}
\contentsline {subsection}{\numberline {2.2.2}Risques li\IeC {\'e}s aux sp\IeC {\'e}cificit\IeC {\'e}s de la strat\IeC {\'e}gie d\IeC {\textquoteright }investissement de l\IeC {\textquoteright }OPCVM}{17}
\contentsline {subsection}{\numberline {2.2.3}Risques de march\IeC {\'e}}{17}
\contentsline {section}{\numberline {2.3}Frais, Commissions et Fiscalit\IeC {\'e}}{18}
\contentsline {subsection}{\numberline {2.3.1}Commissions de souscription et de rachat}{18}
\contentsline {subsection}{\numberline {2.3.2}Frais de fonctionnement et de gestion}{18}
\contentsline {subsection}{\numberline {2.3.3}R\IeC {\'e}gime fiscal}{19}
\contentsline {section}{\numberline {2.4}Etude sur les donn\IeC {\'e}es historiques du march\IeC {\'e}}{19}
\contentsline {chapter}{\numberline {3}Valorisation et couverture du contrat}{23}
\contentsline {section}{\numberline {3.1}Valorisation}{24}
\contentsline {subsection}{\numberline {3.1.1}Th\IeC {\'e}or\IeC {\^e}me g\IeC {\'e}n\IeC {\'e}ral de valorisation}{24}
\contentsline {section}{\numberline {3.2}Couverture}{25}
\contentsline {subsection}{\numberline {3.2.1}Calcul de la strat\IeC {\'e}gie de couverture}{25}
\contentsline {subsection}{\numberline {3.2.2}Couverture delta-neutre: M\IeC {\'e}thode des deltas}{26}
\contentsline {subsection}{\numberline {3.2.3}Une autre strat\IeC {\'e}gie possible: "Strat\IeC {\'e}gie stop-loss"}{26}
\contentsline {section}{\numberline {3.3}Risques li\IeC {\'e}s \IeC {\`a} la strat\IeC {\'e}gie de couverture}{26}
\contentsline {subsection}{\numberline {3.3.1}Risques li\IeC {\'e}s aux sp\IeC {\'e}cificit\IeC {\'e}s de la strat\IeC {\'e}gie d\IeC {\textquoteright }investissement}{26}
\contentsline {subsection}{\numberline {3.3.2}Risques de march\IeC {\'e}}{26}
\contentsline {section}{\numberline {3.4}Simulation}{27}
\contentsline {subsection}{\numberline {3.4.1}Rappel sur les m\IeC {\'e}thodes de Monte-Carlo}{27}
\contentsline {subsection}{\numberline {3.4.2}Algorithme en pseudo-code:}{27}
\contentsline {subsection}{\numberline {3.4.3}Impl\IeC {\'e}mentation C++}{27}
\contentsline {section}{\numberline {3.5}R\IeC {\'e}sultats des simulations}{30}
\contentsline {subsection}{\numberline {3.5.1}R\IeC {\'e}sultats}{31}
\contentsline {subsubsection}{Prix initial du contrat}{31}
\contentsline {subsubsection}{Valorisation et couverture au cours du temps}{31}
\contentsline {chapter}{\numberline {4}Gestion de projet}{33}
\contentsline {section}{\numberline {4.1}Diagramme de Gantt}{33}
\contentsline {chapter}{\numberline {A}Impl\IeC {\'e}mentation du pricing par m\IeC {\'e}thodes de Monte-Carlo}{39}
\contentsline {section}{\numberline {A.1}\tt lancement.cpp\rm }{39}
\contentsline {section}{\numberline {A.2}\tt pricing.h\rm }{40}
\contentsline {section}{\numberline {A.3}\tt pricing.cpp\rm }{40}
\contentsline {chapter}{\numberline {B}Impl\IeC {\'e}mentation de la simulation de couverture}{43}
\contentsline {section}{\numberline {B.1}\tt Fonction graph\_prix \rm }{43}
